Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0689
Annualized Std Dev 0.3313
Annualized Sharpe (Rf=0%) 0.2079

Row

Daily Return Statistics

Close
Observations 3093.0000
NAs 1.0000
Minimum -0.1761
Quartile 1 -0.0103
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0113
Maximum 0.1186
SE Mean 0.0004
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0012
Variance 0.0004
Stdev 0.0209
Skewness -0.3216
Kurtosis 4.4084

Downside Risk

Close
Semi Deviation 0.0151
Gain Deviation 0.0140
Loss Deviation 0.0153
Downside Deviation (MAR=210%) 0.0195
Downside Deviation (Rf=0%) 0.0148
Downside Deviation (0%) 0.0148
Maximum Drawdown 0.7593
Historical VaR (95%) -0.0332
Historical ES (95%) -0.0492
Modified VaR (95%) -0.0338
Modified ES (95%) -0.0588
From Trough To Depth Length To Trough Recovery
2011-08-23 2015-12-17 NA -0.7593 2410 1088 NA
2009-02-23 2009-04-17 2009-10-06 -0.2571 158 39 119
2009-12-03 2010-02-08 2010-05-12 -0.2475 110 45 65
2010-12-07 2011-01-27 2011-03-01 -0.1617 58 36 22
2009-01-02 2009-01-14 2009-01-23 -0.1519 15 9 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA 1 1
2009 3.9 -1.3 1.5 -0.6 -1 2.5 3.9 1.2 -1.9 -0.4 2.9 0.6 11.7
2010 4.5 0.1 2.3 1.9 1.6 -7.6 2.1 -0.6 1.6 -1.1 0.2 2.5 7.1
2011 1.4 3.2 -0.9 3.4 0.3 -1.5 -0.8 0.1 0.4 0.1 -0.6 2.2 7.3
2012 0.4 3.2 1 -0.5 7.8 5.5 -1.8 4.4 0.4 -0.9 -1.3 1.9 21.3
2013 0.4 -0.7 0.3 -2.3 -4.2 3 -1.3 -1.8 -5.6 -1.5 2 1.4 -10.2
2014 0.6 -1.1 -0.3 -0.9 -0.9 -0.3 1.5 -0.3 0.8 -4.5 8.3 -2.8 -0.3
2015 4.3 0.3 3.5 -0.4 -0.2 -0.5 1.1 0.8 -0.3 -0.7 0.9 -0.1 8.9
2016 2 -1.4 -1.7 3.9 -0.2 3 0.3 0.7 -1.1 1.5 -0.3 -1 5.6
2017 -0.5 0 0.4 -1.9 0.1 -0.6 -0.1 0.1 -1 0.8 0.8 1.4 -0.6
2018 -0.2 -0.5 0 -1.7 -1.1 0.5 -1.4 -0.3 -0.5 2.7 -0.4 0.5 -2.3
2019 -0.3 -3.5 -0.8 -1.4 2.7 -3.8 4.7 -0.5 1.1 0.2 1.1 0.4 -0.4
2020 1.2 -7.3 1.2 1.6 0.7 -1.9 2 0.3 2 0.9 4.3 0.7 5.3
2021 2 -0.5 1.1 NA NA NA NA NA NA NA NA NA 2.6

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart